Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of [...]
In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the [...]
Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here [...]
We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time. Many are common sense [...]
Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine [...]
Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance [...]
Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, [...]
For many investors, the superiority of passive investing over active investing is axiomatic (Earth to passive investors; Lunch is never free!) And why not? Study [...]
Style Investing in Fixed Income Jordan Brooks,Diogo Palhares, Scott Richardson Journal of Portfolio Management, Special Issue 2018 A version of this paper can be found here [...]
One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it [...]
Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version [...]
The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, [...]
This year’s annual financial research “geekfest,” officially known as the American Finance Association Annual Meeting, assembles the world’s top-tier academic researchers to discuss their latest [...]
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want [...]
Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's [...]
An often-overlooked corner of the investing world is the futures market. Maybe it’s the fear of taking delivery of 1,000 barrels of oil, the mechanics [...]
Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine Yury O. Kucheev, Felipe [...]
As you are no doubt experiencing, stock market volatility has spiked this year with the S&P 500 dropping or rising 2% or more on eight [...]
Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that [...]
In this article, we discuss the state of the ETF industry, the characteristics that ETF providers typically have, the major ETF platforms, mergers and acquisitions, [...]
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